I started on the Neo Thunder project page (Google or link from the neodev Wiki) and downloaded the toolchain and source code from there. Together with the included devkit documentation and the Official SNK Neo Geo Programming Guide (hardmvs.com), it's enough to get you up and coding in C at least. Once you dive into it and get more familiar with coding you'll realise the 'devkit' is a pretty thin wrapper over the raw registers.
You're probably OK with the same 'host' game to start out, but if you're getting into a serious number of sprites you'll need to match a host with sufficient CROM capacity.
I wasn't a big fan of Sebastian's build scripts so I put together a proper makefile that can produce both cartridge and cd images.
If you get serious you can also develop in pure assembler using the same toolchain.
Good luck!